I want to estimate the following fixed effect model:
y_i,t = alpha_i + beta_1 x1_t + beta_2 x2_i,tx2_i,t = gamma_i + gamma_1
x1_t + gamma_2 Z1_i + gamma_3 Z2_i
I can use ivreg from AER to do the iv regression.
fm <- ivreg(y_i,t ~  x1_t + x2_i,t |                x1_t + Z1_i + Z2_i,
        data = DataSet)
But, I'm not sure how can I add the fixed effects.

Thanks!

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